SERVICES

Attributing the historic performance is the first step of our Portfolio Monitoring service, so you can check whether your portfolio or individual funds keep in line with your investment objectives. It is an important tool to track the contribution of specific trades, sector or geographic allocation and managers in both absolute term and relative to the benchmark. Additionally, we report the marginal and total contribution to the portfolio risk and to the portfolio tracking error. For equities volatility

it reports Value-At-Risk, Conditional VaR, tracking error, risk concentrations and betas. For fixed income duration, credit spread, counterparty risk, curve positioning and DV01 among others.

Our factor approach improves the performance attribution by understanding the underlaying risk of individual funds and the portfolio which are naturally linked to the main macroeconomics variables that measures the business cycle, inflation, etc. So, you can have a more transparent measure to perform stress testing and other type of risk analysis. Another benefit from the factor approach for monitoring is the better estimation of manager’s alfa and betas.

Risk management is enriched by our dynamic factor approach and by our risk forecast and scenario simulations models allowing for more realistic and tailormade stress tests and conditional VaR tests. Additionally, the use of non-linear analysis improves the measure of the risk contribution of assets such as credit products, derivatives and event-driven strategies. Finally, our un-smoothing tool allows us to include illiquid asset in our performance monitoring and risk management service, so private equities and hedge funds con be compared with more liquid assets, understanding their co-movements both in linear and non-linear terms.

Factor-based exposure drift: Identify irregular manager, portfolio or instrument behavior. Compare factor contribution versus benchmarks.

Dashboards: Screen multiple key performance indicators and observe trends.

Performance & Attribution: Highlight and report changes on main return drivers. See probabilistic distribution of return sources.

Risk & Correlation: Risk decomposition based on multiple regression systems. Update covariance matrix and observe concentration changes.

Risks: For equities volatility, Value-At-Risk, Conditional VaR, tracking error, risk concentrations and betas. For fixed income duration, credit spread, counterparty risk, curve positioning and DV01 among others.

Scenarios: Stress portfolio based on custom and historical scenarios (i.e credit crisis).